Time Series Econometrics : Heteroskedasticity in Stock Return Data: Volume and Number of Trades versus GARCH Effects
The result of Lamoureux and Lastrapes and Omran and McKenzie are extended to the Swedish stock market, and this paper examines their findings that GARCH modelling captures the serial dependence in information flow into the market. Moreover, this paper also examines if (as a proxy for information flo...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Nationalekonomiska institutionen
2008
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8569 |